Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
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Publication:2642035
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Cites work
- scientific article; zbMATH DE number 3725143 (Why is no real title available?)
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- \(L_{p}\)-estimators in ARCH models
Cited in
(41)- Parameter estimation in nonlinear AR-GARCH models
- QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
- Non-standard inference for augmented double autoregressive models with null volatility coefficients
- Conditional maximum likelihood estimation in negative binomial INGARCH processes with known number of successes when the true parameter is at the boundary of the parameter space
- Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model
- Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
- Tests for volatility shifts in GARCH against long-range dependence
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- A Tour in the Asymptotic Theory of GARCH Estimation
- Estimation, testing, and finite sample properties of quasi-maximum likelihood estimators in GARCH-M models
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- Size distortion in the analysis of volatility and covolatility effects
- Integer-valued asymmetric GARCH modeling
- Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
- On dynamics of volatilities in nonstationary GARCH models
- ARCH/GARCH with persistent covariate: asymptotic theory of MLE
- Estimation in a class of nonlinear heteroscedastic time series models
- High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation
- RANK-BASED ESTIMATION FOR GARCH PROCESSES
- Nonstationary generalised autoregressive conditional heteroskedasticity modelling for fitting higher order moments of financial series within moving time windows
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- Asymptotic theory for QMLE for the real-time GARCH\((1,1)\) model
- Inference and testing on the boundary in extended constant conditional correlation GARCH models
- Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach
- The ZD-GARCH model: a new way to study heteroscedasticity
- Testing for misspecification in the short-run component of GARCH-type models
- Testing GARCH-X type models
- Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases
- QML inference for volatility models with covariates
- Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
- QML estimation of a class of multivariate asymmetric GARCH models
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